Hello all. I know this post is older but thought I would contribute. I am a beginner sewer who has just rediscovered sewing after a few decades and I love it. I'm attempting all manner of machine sewing from quilting to fashion accessories (gloves, etc.). I have never in my life attempted velcro and in doing some searches for techniques I came across this post with valuable tips. I'm not one to shy away from a challenge and could've simply tried the iron on or sticky velcro but I'm trying to expand and perfect my sewing abilities so jumped right into the sew on type. :-)
With my first attempt I used a leather needle, cotton thread and a needle/thread lubricant called Sew Smooth by H.A. Kidd (hakidd.com). I'm in Canada so this was easy to find. This lubricant is great because it evaporates fairly quickly and leaves no residue. Someone mentioned using vaseline but I was a bit concerned about greasy stains so researched a bit and found this product. My first attempt was a failure in that the spool thread snapped near the end (I was doing a 1" x 2" piece). The bobbin thread which was also cotton held fine. The snapped thread could be due to not continually lubricating the needle but also I probably should've used polyester thread like others mentioned.
I ripped out the thread and with my second attempt I switched the spool thread to polyester (I left the bobbin thread as cotton only because I was too lazy to change it... if I was doing a much bigger piece I would've changed it to polyester as well). As with my first attempt I put a dollop of the Sew Smooth on my finger and lubricated the needle (which also lubricates the thread) and I started to sew as close to the velcro edge as possible. The difference this time is that I would stop sewing every 1/2" to re-lubricate the needle/thread when it was in the up position. I also put a piece of paper over the hook side as others suggested (I only used lubricant on the loop side, no paper). Not sure if this actually helped with easing the presser foot along but I had no trouble. The next time I have to do velcro I might try it without the paper just to see if it helps or whether lubricating is enough.
With my second attempt I sewed both pieces of the velcro (1" x 2") with no trouble. No thread breakage and the needle seemed to go through just fine. As any FYI the single dollop I started with lasted through one of the 1" x 2" pieces. I used a new dollop for the second piece. If the pieces were bigger I probably would've had to use a couple dollops on my finger to get through each piece. I'm sure nylon thread could be used instead of polyester but I didn't have any nylon on hand.
I hope this helps.